Gone in 98 Nanoseconds

Imagine a daily race with hundreds of top fuel dragsters all lined up rumbling along in parallel waiting for the same green Christmas tree light before launching off the line. In some electronic markets, with specific products, every weekday morning this is exactly what happens. It’s a race where being the fastest is the primary attribute used to determine if you’re going to be doing business. On any given day only the top finishers are rewarded with trades. Those who transmit their first orders of the day the fastest receive a favorable position at the head of the queue and are likely to do some business that day. In this market, EVERY nanosecond (a billionth of a second) of delay matters, and can be monetized. Last week the new benchmark was set at 98 nanoseconds, plus your trading algorithm, in some cases 150 nanoseconds total tick to trade.

“Latency” is the industry term for the unavoidable network delays, and “Tick to Trade Latency” aggregates together the network travel time for a UDP market data signal to arrive at a trading system, and for that trading system to transmit a TCP order into the exchange. Last year Solarflare introduced Application Nanosecond TCP Send (ANTS) and lowered the “Tick to Trade Latency” bar to 350 Nanoseconds. ANTS executes in collaboration with Solarflare’s Application Onload Engine (AOE) based on an Altera Stratix FPGA. Solarflare further advanced this high-speed trading platform to achieve 250 Nanoseconds. Then in the spring of 2017 Solarflare collaborated with LDA Technologies. LDA brought their Lightspeed TCP cores to the table and replaced the AOE with a Xilinx FPGA board once again lowering the “Tick to Trade Latency” to 120 Nanoseconds. Now through further advances, and moving to the latest Penguin Computing Skylake computing platform, all three partners just announced a STAC-T0 qualified benchmark of 98 nanoseconds “Tick to Trade Latency!”

There was even a unique case in this STAC-T0 testing where the latency was measured at negative 68 nanoseconds, meaning that a trade could be injected into the exchange before the market data from the exchange had even been completely received. Compared to traditional trading systems which require that the whole market data network packet to be received before ANY processing can be done, these advanced FPGA systems receive the market data in the packet in four-byte chunks and can begin processing that data while it is arriving. Imagine showing up in the kitchen before you wife even finishes calling your name for dinner. There could be both good and bad side effects of such rapid action, you have a moment or two to taste a few things before the table is set, or you may get some last minute chores. The same holds true for such aggressive trading.

Last week, in a Podcast with the same name we had a discussion with Vahan Sardaryan, CEO of LDA Technologies, where we went into this in more detail.

Penguin Computing is also productizing the complete platform, including Solarflare’s ANTS technology and NIC, LDA Technologies Lightspeed TCP, along with a high-performance Xilinx FPGA to provide the Ultimate Trading Machine.